By default, Windows 7 easily pins any program to the taskbar for quick launching (just drag and drop), but if you want to pin something that isn’t an application, it gets more difficult. Weblog 7tutorials details how to pin any item.

We already showed you how to pin specific folders, and this is just a slightly tweaked application of that method. The quick and dirty version:

Windows 7's taskbar lets you pin any running program to the taskbar for easy future access,…
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[T]here is only one simple rule that you have to follow in order to make almost any item “pinnable” to the taskbar: create a shortcut, save it somewhere safe so you don’t delete it by mistake, create a shortcut to that shortcut and add the explorer word before its path. Then you have a shortcut which you can pin to the taskbar.

The addition of the word “explorer” described above is basically making the shortcut into an application shortcut—that keyword opens Explorer (try hitting Win+R and typing explorer)—so that seems to be how this workaround makes pinning possible. Hit up the full post for a very detailed rundown, and enjoy your pinned item free-for-all.